Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
5,701 documents
The post asks how to construct a CNY interest-rate swap curve that matches Bloomberg, focusing on discount factors beyond the short end. The author reports converting maturities through nine months with an Actual/360 simple discount formula, then using…
The document asks why securitized-product prepayment models often represent borrower status with discrete delinquency states and estimate transition probabilities, rather than directly regressing the dollar amount prepaid in each period. It notes that…
The document explains how a zero-coupon bond price relates to forward rates in discrete and continuous time. It divides the period to maturity into subintervals and expresses the bond price as the product of discount factors for each interval. With simple…
The document explains how a constant maturity swap (CMS) rate payoff differs from the payoff of a vanilla swap. A vanilla swap's value depends on both the rate difference and the swap's DV01, which itself varies nonlinearly with the underlying rate. A CMS…
The note outlines a way to express a Eurodollar futures rate when the short rate follows a Vasicek process. It treats the futures settlement rate as the risk-neutral expectation of the three-month LIBOR rate at its fixing date. LIBOR is written as an…
The note explains why a corporate bond can show different sensitivities to Treasury-rate shifts and option-adjusted spread shifts. It distinguishes duration measured by moving the Treasury curve while holding the OAS fixed from spread duration measured by…
The discussion recommends public research sources for readers seeking perspectives on global macro and finance. It lists research and market commentary from asset managers, hedge funds, and sell-side firms, while noting that much sell-side work is restricted…
This question considers how a three-year annual-coupon bond’s modified duration changes when its coupon rate changes, with bond price expressed as the discounted value of its cash flows. It starts from the standard yield sensitivity definition of modified…
The document asks how to construct an FX forward curve from basic concepts such as interest rates and discounting, using EUR/USD as an example. It raises the roles of instruments such as IMM dates and overnight index swaps, but the response does not explain…
The document analyzes the carry of a long bond, short futures position used to hedge interest rate exposure. It frames carry as coupon income minus financing cost. When the bond yield is below the short-term rate used to fund it, the financing expense…
The document asks how the discount rate used in Current Expected Credit Loss accounting differs from rates used in market pricing. It describes the CECL discount rate as an effective interest rate (EIR), represented by a single number, and contrasts this…
The document explains how accrued interest can be negative for bonds traded in markets that use an ex-coupon date before the end of a coupon period. The holder recorded by that date is entitled to the full coupon, even if the bond is sold before the coupon…
The document asks whether a forward market model (FMM), extending the classic LIBOR market model to handle backward-looking risk-free rates (RFRs) and term rates together, has been combined with stochastic volatility such as SABR. The motivation is pricing…
The document explains how a forward rate for borrowing or lending over a future period relates to spot Treasury yields across the full maturity. A 10-year rate and a 10-year rate beginning ten years later combine to determine the 30-year return, with the…
The document sets up a payer forward contract entered at zero value and later offset by a receiver contract on the same accrual period. Subtracting the two terminal cash flows yields a payoff proportional to the change in the forward rate between the entry…
The document asks where to obtain historical overnight index swap rates across a range of maturities, motivated by pricing foreign exchange options. It distinguishes a single overnight benchmark such as the Effective Federal Funds Rate from a full OIS curve,…
The document explains how overnight indexed swap rates relate to daily overnight rates and how compounding builds the floating leg over a term. It distinguishes the compounded overnight payment for a three-month period from the quoted three-month OIS swap…
The document asks whether a standard or regulated method exists for calculating the balance-sheet value of a fixed-rate term repo. It proposes a formula that starts from the cash notional and accrued interest from the contract rate, then adds an adjustment…
This discussion compares Bloomberg’s FWCM and FWCV functions for projecting US Treasury forward rates. Both use the same underlying calculation formula, but can show different values because of curve settings, interpolation, conventions, and update timing.…
The document explains the different roles of loan loss provisions and capital adequacy rules. Provisions recognize expected or likely losses on a bank’s existing loans, with changes flowing through earnings and equity. Capital adequacy requirements instead…
The document asks how to infer an incremental discount rate for a company with no observable traded debt when market yield or credit spread data for its sector stop at stronger credit ratings. Its example is a company rated CCC when available sector data…
The document explains that CUSIPs are assigned identifiers for specific securities and are generally immutable once assigned, rather than values that simply change in place. It describes the identifier as having a base associated with the issuer and a tail…
The note explains why callable bonds should not automatically be analyzed as if they run to maturity. When an issuer is likely to call, calculating spread and interest-rate risk to maturity can give misleading results. A common practical approach is to find…
The note gives a rough way to estimate daily value at risk for a corporate bond position using its CS01, the change in value for a one basis point move in credit spread. It suggests estimating a high-quantile spread move from historical data or a Monte Carlo…